Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0027
Annualized Std Dev 0.1174
Annualized Sharpe (Rf=0%) 0.0226

Row

Daily Return Statistics

Close
Observations 5532.0000
NAs 1.0000
Minimum -0.1188
Quartile 1 -0.0030
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0036
Maximum 0.0784
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0074
Skewness -0.5714
Kurtosis 25.4961

Downside Risk

Close
Semi Deviation 0.0054
Gain Deviation 0.0054
Loss Deviation 0.0061
Downside Deviation (MAR=210%) 0.0108
Downside Deviation (Rf=0%) 0.0054
Downside Deviation (0%) 0.0054
Maximum Drawdown 0.4639
Historical VaR (95%) -0.0105
Historical ES (95%) -0.0177
Modified VaR (95%) -0.0095
Modified ES (95%) -0.0095
From Trough To Depth Length To Trough Recovery
2004-03-23 2008-12-16 2010-08-16 -0.4639 1596 1178 418
2016-08-09 2020-03-19 NA -0.3778 1162 909 NA
2012-12-07 2013-09-11 2016-08-08 -0.2862 923 191 732
1999-01-05 1999-12-28 2003-06-09 -0.2434 1076 237 839
2010-09-01 2011-01-14 2011-12-19 -0.1914 329 95 234

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.9 0.5 0 -0.5 0.5 0 -0.5 0 -0.5 0 1.1 1.7 3.3
2000 -0.6 0 -0.6 0 0.6 0 -0.5 0.5 0 0 0 0 -0.6
2001 0.1 -0.5 0.5 -1.3 0 0 0.1 0.6 0.8 0.2 0.1 0.2 0.8
2002 0 -0.2 0.1 0.6 0.2 -0.2 -0.7 -0.7 0.1 -0.8 0.5 0.8 -0.3
2003 0.5 -0.6 0.5 0.1 0.2 -0.1 -0.9 0.8 0.1 0.4 0.8 0.7 2.5
2004 0.1 0.6 -0.1 -0.2 -0.3 -1.3 1.2 -0.1 0 0.2 -1.2 0 -1.1
2005 -0.5 -0.2 0.5 0.4 0.6 -0.1 0 -0.1 0.1 -0.7 -0.1 0.4 0.2
2006 0.9 0.1 0.4 -0.8 0.9 0.8 -0.3 0.2 0.1 -0.1 1.6 0.6 4.4
2007 -0.6 0.1 0.1 0.1 -0.2 0.3 -0.4 0.1 0.4 0.6 0.9 1.8 3.3
2008 0.6 -1.8 0.2 0.5 -0.4 0.1 0.1 0.2 -0.3 -1.9 -2.2 -0.7 -5.6
2009 0.1 1.2 0.2 0.1 -0.3 -1.3 -1.5 -0.2 0.7 0.3 0.2 0 -0.6
2010 0.3 0.4 0.8 0.7 -0.3 0.7 0.8 -0.9 0.5 0.1 -1.6 2.2 3.7
2011 0.4 0.3 0.3 1.1 0.4 -0.5 1.3 0.1 0.3 -0.3 -0.1 0.2 3.4
2012 0.9 0.3 0.4 -0.2 -0.5 1 -0.6 0.3 1.1 0.6 0.7 0 4
2013 0.1 -0.3 -0.6 0.4 -1.3 1.7 -0.9 -0.2 0 -1.2 -0.1 -1.2 -3.6
2014 0.6 -0.1 -0.5 1 0.1 -0.7 0.1 0 0.1 -0.7 -0.1 -0.1 -0.3
2015 0.8 1 0.2 -0.9 0.1 0 0.8 -0.1 0.5 0.8 0 0.1 3.4
2016 0.6 0.1 0.2 1.1 0.8 0.1 0.1 -0.1 -0.4 0.8 -1.1 0.5 2.5
2017 -0.5 -0.5 0.1 0.1 0.3 0.3 1 -0.1 -0.1 -0.1 0.5 -0.1 0.6
2018 -0.3 -0.7 0.7 1.3 -0.1 -0.1 0.3 -0.1 -0.1 0.4 0.4 -0.6 1.1
2019 0.7 -0.1 -0.3 -0.2 0.2 0 0.5 0.1 0.7 -0.1 0.1 0 1.5
2020 0.1 -2.3 -0.1 0.4 0.4 0.7 0.1 0.3 -0.3 0.2 0.3 0 -0.2
2021 0.1 -2.4 0.1 NA NA NA NA NA NA NA NA NA -2.2

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart